Market Outlook - BNP PARIBAS - Investment Services India

This section is classified as non-objective researchTable 1: Carry TableBenchmark CarryPricing Date20-Oct-11Term 1Term 23m6m12mRepo Rate#REF! #REF! #REF! #REF! #REF!Sett. Date21-Oct-11 01-Nov-11 01-Dec-1123-Jan-1223-Apr-1222-Oct-12Yield BE Real BE Real BE Real BE Real BE Real BEShort-endOATei Jul-12 -1.95% 2.68% -2.2 -1.2 75.5 79.9 63.3 74.4 -330.3 -293.7OATI Jul-13 -0.49% 1.66% 5.3 4.9 -7.0 -8.4 -11.6 -16.1 -27.7 -40.2 22.8 22.8TIPS Jul-12 -1.14% 1.29% 8.6 8.4 17.6 17.2 -53.5 -54.1 -269.7 -268.4UKTi Aug-13 -2.10% 2.67% 0.4 0.5 -3.1 -3.1 12.7 13.2 9.4 11.5 37.6 50.65yBUNDEI Apr-16 -0.28% 1.42% 0.4 0.3 15.7 15.3 18.2 16.9 -0.2 -3.7 18.0 10.7BTANI Jul-16 0.69% 1.50% 2.4 1.9 0.1 -2.9 2.8 -5.3 6.0 -11.8 36.7 36.7TIPS Apr-16 -0.70% 1.64% 1.7 1.1 3.6 1.4 -3.3 -8.4 -9.8 -20.1 17.7 -4.3UKTi Nov-17 -1.01% 2.75% 2.8 2.2 13.7 11.3 17.1 11.5 19.7 8.3 38.3 14.1JGBI-4 June-15 0.61% -0.34% 0.6 0.4 -5.4 -6.0 0.7 -0.4 -17.9 -20.3 3.0 -2.210yOATEI Jul-22 1.45% 1.67% 0.5 0.0 8.5 5.7 12.1 4.9 9.0 -6.0 25.9 -5.3OATI Jul-19 1.06% 1.79% 1.6 1.1 0.6 -2.4 3.1 -4.8 6.3 -10.3 27.0 27.0TIPS Jan-21 0.19% 1.87% 1.1 0.4 3.0 0.2 1.0 -5.3 0.7 -12.0 19.2 -6.8UKTi Nov-22 -0.14% 2.64% 1.9 1.2 8.9 6.3 12.0 6.1 15.6 3.8 30.0 5.6JGBI-16 June-18 0.93% -0.38% 0.6 0.3 -9.3 -10.1 1.7 -0.1 -7.0 -10.6 7.3 -0.530yOATei Jul-40 1.81% 2.10% 0.3 -0.1 4.0 2.2 5.8 1.3 4.8 -4.5 12.7 -5.9OATI Jul-29 1.69% 2.09% 1.0 0.5 0.8 -1.7 2.7 -3.5 5.6 -7.2 18.1 18.1TIPS Feb-41 1.06% 2.13% 0.5 0.0 1.6 -0.4 1.4 -3.2 2.2 -6.7 10.8 -7.1UKTI Mar-40 0.37% 3.02% 0.8 0.3 3.6 1.8 5.1 1.0 6.9 -1.3 13.0 -3.5Short-endTerm 1 -> Term 2 Term 2 -> 3m3m -> 6m6m -> 12mOATei Jul-12 77.7 81.1 -18.5 -14.9 -393.6 -368.2 330.3 293.7OATI Jul-13 -12.3 -13.4 -4.7 -6.5 -16.1 -24.1 50.5 62.9TIPS Jul-12 9.0 8.7 -36.6 -36.6 -216.2 -214.3 269.7 268.4UKTi Aug-13 -3.5 -3.5 9.0 9.5 -3.2 -1.7 28.2 39.15yBUNDEI Apr-16 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0BTANI Jul-16 15.4 15.1 -0.3 -0.8 -18.4 -20.5 18.2 14.4TIPS Apr-16 -2.3 -4.8 0.7 -2.1 3.1 -6.6 30.7 48.5UKTi Nov-17 1.9 0.3 -2.8 -4.6 -6.4 -11.7 27.5 15.8JGBI-4 June-15 -6.0 -6.4 -1.7 -2.1 -18.6 -19.9 20.9 18.110yOATEI Jul-22 8.0 5.8 1.2 -1.1 -3.1 -10.9 17.0 0.7OATI Jul-19 -1.1 -3.5 0.9 -1.7 3.3 -5.5 20.7 37.3TIPS Jan-21 1.8 -0.2 -0.4 -2.7 -0.3 -6.7 18.5 5.2UKTi Nov-22 7.0 5.1 2.4 0.4 3.6 -2.3 14.4 1.8JGBI-16 June-18 -9.8 -10.4 -0.6 -1.1 -8.7 -10.5 14.2 10.130yOATei Jul-40 3.7 2.3 0.7 -0.8 -1.0 -5.8 8.0 -1.4OATI Jul-29 -0.2 -2.2 0.8 -1.2 2.8 -3.8 12.5 25.3TIPS Feb-41 1.0 -0.4 0.2 -1.4 0.9 -3.6 8.6 -0.3UKTI Mar-40 2.9 1.5 1.1 -0.3 1.8 -2.3 6.1 -2.2Source: BNP ParibasHerve Cros / Shahid Ladha / Aaron Kohli 20 October 2011Market Mover47www.GlobalMarkets.bnpparibas.com